Why are Americans still in Saudi Arabia?

If the US government tells you it's not safe. You see people around you getting killed because they are not Muslim. The terrorists say openly that they are targeting you. The Saudis don't seem able to protect you. Why not leave?

Am I missing something?

Also Saturday, a purported al-Qaida statement claimed the terror group had kidnapped an American man in the Saudi capital and threatened to treat him as U.S. troops treated Iraqi prisoners. The U.S. Embassy confirmed an American was missing but would not identify him.

"We do have reports of a missing American," an embassy spokesperson said, speaking on condition of anonymity. "We are working with local authorities to find him and are in touch with his family."

The al-Qaida statement, posted late Saturday on an Islamic Web site, showed a passport-size photo of a brown-haired man and a business card bearing the name Paul M. Johnson.

American Killed in Saudi Arabia; 1 Missing